Just wanted to share a quick blog post that flashed across my linkedin feed today, that I think you may be interested in.
It’s an article called ‘Alpha Extraction and Trading Under Different Market Regimes‘ by Jonathan Kinlay.
We’ve discussed Market Regimes on the podcast before – they can make a tremendous improvement to trading strategy performance when applied correctly.
In fact, this podcast episode with Alan Clement has loads of ideas on how to implement Market Regime switching in trading strategies.
2 popular Market Regime approaches are detecting trend and volatility, however the post from Jonathan looks at it from the angle of quantifying market noise, and avoiding the ‘noisier’ times to get a higher signal to noise ratio and better trade signals.
It’s an interesting application, take a look at the article and see if you can apply the concept to your own strategies.
PS. If you’re a Trading Market Internals student, check out Coaching call #2 where we reveal an advanced technique for determining Market Quality using Market Internals. If you’re not a Market Internals student, check out what it can do here.
5 February 2018